1. # coding=utf-8
      2. from __future__ import print_function, absolute_import
      3. from gm.api import *
      4. import talib
      5. import time
      7. '''
      8. 本策略以DCE.i1801为交易标的，根据其一分钟(即60s频度）bar数据建立双均线模型，
      9. 短周期为30，长周期为60，当短期均线由上向下穿越长期均线时做空，
      10. 当短期均线由下向上穿越长期均线时做多,每次开仓前先平掉所持仓位，再开仓。
      11. 回测数据为:DCE.i1801的60s频度bar数据
      12. 回测时间为:2017-09-01 09:00:00到2017-09-30 15:00:00
      13. '''
      15. def init(context):
      16.     context.FAST = 30                                              # 短周期
      17.     context.SLOW = 60                                              # 长周期
      18.     context.symbol = 'DCE.i1801'                                   # 订阅&交易标的
      19.     context.period = context.SLOW + 1                              # 订阅数据滑窗长度
      20.     subscribe(context.symbol, '60s', count=context.period)         # 订阅行情
      22. def on_bar(context, bars):
      23.     print (bars[0].bob)
      24.     # 获取数据
      25.     prices = context.data('DCE.i1801', '60s', context.period, fields='close')
      26.     # 计算长短周期均线
      27.     fast_avg = talib.SMA(prices.values.reshape(context.period), context.FAST)
      28.     slow_avg = talib.SMA(prices.values.reshape(context.period), context.SLOW)
      30.     # 均线下穿，做空
      31.     if slow_avg[-2] < fast_avg[-2] and slow_avg[-1] >= fast_avg[-1]:
      32.       # 平多仓
      33.         order_target_percent(symbol=context.symbol, percent=0, position_side=1, order_type=2)
      34.       # 开空仓
      35.         order_target_percent(symbol=context.symbol, percent=0.1, position_side=2, order_type=2) 
      37.     # 均线上穿，做多
      38.     if fast_avg[-2] < slow_avg[-2] and fast_avg[-1] >= slow_avg[-1]:
      39.       # 平空仓
      40.         order_target_percent(symbol=context.symbol, percent=0, position_side=2,order_type=2) 
      41.       # 开多仓
      42.         order_target_percent(symbol=context.symbol, percent=0.1, position_side=1,order_type=2) 
      45. def on_execution_report(context, execrpt):
      46.     # 打印委托执行回报
      47.     print(execrpt)  
      50. if __name__ == '__main__':
      51.     '''
      52.     strategy_id策略ID,由系统生成
      53.     filename文件名,请与本文件名保持一致
      54.     mode实时模式:MODE_LIVE回测模式:MODE_BACKTEST
      55.     token绑定计算机的ID,可在系统设置-密钥管理中生成
      56.     backtest_start_time回测开始时间
      57.     backtest_end_time回测结束时间
      58.     backtest_adjust股票复权方式不复权:ADJUST_NONE前复权:ADJUST_PREV后复权:ADJUST_POST
      59.     backtest_initial_cash回测初始资金
      60.     backtest_commission_ratio回测佣金比例
      61.     backtest_slippage_ratio回测滑点比例
      62.     '''
      63.     run(strategy_id='strategy_id',
      64.         filename='main.py',
      65.         mode=MODE_BACKTEST,
      66.         token='token_id',
      67.         backtest_start_time='2017-09-01 09:00:00',
      68.         backtest_end_time='2017-09-30 15:00:00',
      69.         backtest_adjust=ADJUST_NONE,
      70.         backtest_initial_cash=10000000,
      71.         backtest_commission_ratio=0.0001,
      72.         backtest_slippage_ratio=0.0001)

    BacktestResult

    原文: https://www.myquant.cn/docs/python_strategyies/153